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ASF 2006 Extendible ABCP Market Overview

ASF 2006 Extendible ABCP Market Overview. January 2006. The Extendible ABCP market continued to grow in 2005 with the market ending with over $100 billion in outstandings and accounting for approximately 11% of the total ABCP market

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ASF 2006 Extendible ABCP Market Overview

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  1. ASF 2006Extendible ABCP Market Overview January 2006

  2. The Extendible ABCP market continued to grow in 2005 with the market ending with over $100 billion in outstandings and accounting for approximately 11% of the total ABCP market The pace of growth in the Extendible market, 33% year over year, beat the remarkable 24% growth rate that the overall ABCP market saw in 2005 Growth in the market came from both new entrants to the market as well as from increases in existing SLN programs and other traditional ABCP programs that added the ability to issue SLNs New programs launched in 2005 included new mortgage warehouse facilities, securities programs, receivables transactions, and fully supported multi-seller vehicles We expect to see continued growth in the Extendible market during 2006 as well more mature programs looking to restructure to take advantage of new technology innovations in the market Extendible ABCP Market Overview Extendible Program Type Breakout Based on the Number of Programs Securities Auto Dealer Floorplan2% Mortgage Multi-Seller (Partially Supported)2% Multi-Seller (Fully Supported) Credit Card

  3. Why Program Sponsors Use Extendible ABCP • Take advantage of the inherent liquidity of the underlying asset portfolio • Assets mature by their terms and conditions • Secondary market value • Regulatory Capital Relief • In a world where liquidity facilities attract capital • Internal Cash Capital Relief • 1-year as a cut-off point

  4. SLNs ABCP Growth in the Extendible ABCP Market Growth in the Extendible ABCP Market $Bn % Growth of SLNs / ABCP 6% 8% 11% 11% Source: Federal Reserve, Moody’s, ASF.

  5. Extendible ABCP Market Overview As of January 2006 # of Days to ExpectedMaturity # of Days to FinalMaturity Outstandings($MM) (1) Program Rating Sponsor Assets Dealers (2) Countrywide Prime resi mortgage loans Up to 180 days 120 days from expected 18,000 MS / BAS / C / GS / JPM / LEH Park Granada A-1+/P-1 Citibank Credit cards Up to 124 days 390 days from issuance 15,000 C / LEH / ML DAKOTA A-1/P-1/F1 ABN AMRO Trade and term receivables Up to 180 days 365 days from issuance 8,770 (2) C / GS / LEH Tulip A-1+/P-1 Ford Auto dealer Floorplans Up to 99 days 390 days from issuance 8,500 MS / Ford / LEH Motown Notes A-1+/P-1/F1+ GeorgetownFunding Friedman, Billings & Ramsey Agency-backed hybrid ARMs (repos) Up to 240 days 20 days from expected 7,391 GS / JPM / ML A-1+/P-1 Barclays Trade and term receivables Up to 120 days 390 days from issuance 6,514 MS / BCLY / LEH Stratford Receivables A-1+/P-1 Stanfield Global Strategies Term and trade receivables, securities Up to 180 days 397 days from issuance 5,723 (2) C / CSFB / DB / JPM / LEH / ML Mica Funding A-1/P-1 Mortgage InterestNetworking Trust GMAC Commercial mortgages Up to 90 days 180 days from issuance 5,483 BAS / CSFB / JPM / LEH A-1+/P-1 Ameriquest Non-prime resi mtgs loans Up to 180 days 180 days from expected 5,481 MS / BAS / C / GS / ML Main Street A-1+/P-1 SachsenLB Securities Up to 250 days 20 days from expected 5,157 (2) DB / GS / LEH Ormond Quay A-1+/P-1 MBNA Credit cards Up to 99 days 390 days from issuance 5,062 BAS / C / GS / JPM / LEH Emerald Notes A-1+/P-1/F1+ Thornburg Mortgage P-1/F1+ Thornburg Mortgage Aaa-rated adjustable rate mortgage-backed securities Up to 250 days 10 days from expected 4,990 GS / LEH / ML Long Beach Mortgage (WaMu) Non-prime mortgage loans Up to 180 days 60 days from expected 4,900 MS / GS / JPM / LEH / ML Strand Capital LLC A-1+/P-1/F1+ Brahms Funding A-1/P-1 Dresdner Bank AG, New York Branch Term and trade receivables, securities Up to 65 days 365 days from issuance 4,192 MS / JPM / LEH / ML Countrywide Non-prime resi mortgage loans Up to 180 days 180 days from expected 4,051 BAS / C / CW / DB / GS / JPM Park Sienna A-1+/P-1 Hudson Castle Term and trade receivables, securities Up to 270 days 390 days from issuance 3,500 MS / BAS / JPM / LEH / ML Fenway A-1/P-1 Ixis Financial Products Term and trade receivables, securities up to 180 days 90 days from expected 3,123 (2) BAS / CDC / CSFB / DB / JPM / LEH Eiffel Funding A-1/P-1/F1 Alliance Capital Mgmt Securities Up to 180 days 270 days from issuance 3,000 BAS / C / LEH ASAP Funding A-1+/P-1/F1+ Hudson Castle Term and trade receivables, securities Up to 90 days 390 days from issuance 2,900 MS / BAS / LEH Foxboro Funding A-1/P-1 Liberty Hampshire Term and trade receivables, securities Up to 200 days 397 days from issuance 2,780 MS / C / GS / JPM Concord Minutemen A-1/P-1/F1 Notes: (1) Source: Moody’s ABCP Program Index as of June 30, 2005 and Morgan Stanley Trading Desk. (2) Source: Bloomberg. (3) With J.P. Morgan as conduit administrator. (4) With LaSalle Bank as conduit administrator. (5) This amount includes ABCP and Callables as well as SLNs.

  6. Extendible ABCP Market Overview As of January 2006 # of Days to ExpectedMaturity # of Days to FinalMaturity Outstandings($MM) (1) Program Rating Sponsor Assets Dealers (2) Monument Gardens A-1/P-1 Rabobank Securities guaranteed by MBIA or FGIC Up to 210 days 150 days from expected 2,564 MS / LEH Curzon A-1+/P-1 AIG FP Securities, CDS, Repos and CLNs Up to 270 days 360 days from issuance 2,194 (2) MS / AIG / LEH BroadhollowFunding American Home Mortgage Prime mortgage loans Up to 180 days 120 days from expected 1,852 BAS / C / LEH A-1+/P-1 Harwood StreetFunding II CTX Mortgage Company Sub-prime resi mortgage loans Up 180 days 180 days from expected 1,166 BAS / C/ LEH A-1+/P-1/F1+ Capital OneMulti-Asset Execution Trust Capital One Credit cards Up to 270 days 390 days from issuance 1,000 C / JPM / LEH A-1+/P-1/F1+ Ajax BambinoFunding ING Capital Securities Up to 90 days 180 days from issuance 980 BAS / C / ING A-1+/P-1 AIG FP Securities Up to 180 days 180 days from expected 875 (2) MS / LEH Nyala A-1+/P-1 Harwood StreetFunding I CTX Mortgage Company Prime mortgage loans Up to 180 days 120 days from expected 705 BAS / C / LEH A-1+/P-1 Glencore International AG (3) Single seller trade receivables Up to 90 days 180 days from expected 619 C / CSFB / DB / JPM Albis Capital Corp. A-1+/P-1 Master FundingLLC - A A-1+/P-1 EMC Mortgage Corp. First-lien resi non-conforming andAlt-A mtg loans Up to 180 days 180 days from expected 619 Bear / BAS / JPM Rams Mortgage Securities Australian resi mortgages Up to 90 days 180 days from expected 562 C / ML Rams Funding LLC A-1+/P-1 Freedom Park A-1+/P-1 Promontory Variable funding notes guaranteedby a monoline Not specified 390 days from issuance 500 BAS / LEH Taylor, Bean & Whitaker Conforming mortgage loans Up to 180 days 120 days from expected 416 BNP / LEH Ocala A-1+/P-1 Friedman, Billings & Ramsey Non-prime resi mtgs loans (repo) Up to 120 days 60 days from expected 393 FBR / GS / JPM Arlington Funding A-1+/P-1 Liberty Hampshire Term and trade receivables, securities Up to 200 days 397 days from issuance 378 MS / GS / JPM Crown Point A-1/P-1 Notes: (1) Source: Moody’s ABCP Program Index as of June 30, 2005 and Morgan Stanley Trading Desk. (2) Source: Bloomberg. (3) With J.P. Morgan as conduit administrator. (4) With LaSalle Bank as conduit administrator. (5) This amount includes ABCP and Callables as well as SLNs.

  7. CPI Funding A-1+/P-1 Protective Life Non-prime mortgage loans Up to 180 days 180 days from expected 137 LEH Berkeley Square A-1/P-1 Stanfield GlobalStrategies Repurchase Agreements Up to 185 days 390 days from issuance N/A DB / ML Deer Valley P-1/F1+ Merrill Lynch Bank USA Securities Up to 90 days 180 days from expected N/A BAS / JPM / ML / RBC Landale Funding A-1+/P-1 HBOS Financial assets Up to 364 days 390 days from issuance N/A MS / C / JPM / LEH Extendible ABCP Market Overview (cont’d) As of January 2006 # of Days toExpected Maturity # of Days to FinalMaturity Outstandings($MM) (1) Program Rating Sponsor Assets Dealers (2) CRE-8 Funding A-1+/P-1 GMAC Commercial Mortgages Up to 90 days 270 days from expected 283 GMAC / JPM / LEH Carmel MountainFunding Accredited HomeLenders A-1+/P-1 Commercial Mortgages Up to 180 days 120 days from expected 273 GS / LEH Equities, bonds, loans andpfd stock Morrigan TRR Funding A-1/P-1/F1 Hypo Real Estate Int’l Not specified 397 days from issuance 136 MS / CSFB / GS / ML Catapult-PMXFunding LLC Paramax CapitalMarkets (4) Fully sUpported (“diversifiedportfolio of assets”) A-1/P-1 Not specified 390 days form issuance N/A C / ML Term and tradereceivables, Securities Fairway A-1/P-1 Harris Nesbitt Up to 185 days 85 days from expected N/A MS / LEH HSBC Real Estate(USA) Funding P-1 HSBC Finance Prime mortgage loans Up to 180 days 180 days from expected N/A BAS / C / HSBC Ivory Funding Corp. A-1/P-1 J.P. Morgan Mortgage-related assets Up to 90 days 180 days from expected N/A MS / BAS / JPM / LEH Aaa-rated adjustable ratemortgage-backed securities KKR Pacific Funding A-1+/P-1/F1+ KKR Financial Up to 300 days 30 days from expected N/A JPM / LEH Residential mortgagewarehouse Madrona A-1+/P-1 Redwood Trust Up to 270 days 90 days from expected N/A MS / BAS Notes: (1) Source: Moody’s ABCP Program Index as of June 30, 2005 and Morgan Stanley Trading Desk. (2) Source: Bloomberg. (3) With J.P. Morgan as conduit administrator. (4) With LaSalle Bank as conduit administrator. (5) This amount includes ABCP and Callables as well as SLNs.

  8. Matchpoint Funding PLC A-1/P-1 BNP Paribas Up to 180 days 364 days from issuance N/A BNP / C / JPM / ML Newcastle A-1+/P-1/F1+ Discover Credit Cards Up to 94 days 397 days from issuance N/A MS / BAS / C / JPM / RBC Nightwatch A-1+/P-1 ABN AMRO Term receivables Up to 120 days 270 days from issuance N/A ABN / C / LEH Old Court A-1/P-1 Cambridge Place Financial assets Up to 270 days 364 days from issuance N/A MS / C / LEH Patriot Funding P-1 Wachovia Securities Up to 125 days 270 days from issuance N/A N/A Von Karman Funding A-1+/P-1 New Century Residential mortgage loans Up to 180 days 180 days rom expected N/A BAS / C Extendible ABCP Market Overview (cont’d) As of January 2006 # of Days toExpected Maturity # of Days to FinalMaturity Outstandings($MM) (1) Program Rating Sponsor Assets Dealers (2) Master Funding LLC – B A-1+/P-1 EMC Mortgage Corp. Sub-prime resimortgage loans Up to 180 days 180 days from expected N/A Bear / BAS / JPM Term and trade receivables,securities Transamerica SecuredLiquidity Notes Corp. Master fundingagreements A-1+/P-1 Aegon Up to 270 days 290 days from issuance N/A C / JPM / LEH Notes: (1) Source: Moody's ABCP Program Index as of June 30, 2005 and MS Trading Desk (2) Source: Bloomberg (3) With J.P. Morgan as conduit administrator (4) With LaSalle Bank as conduit administrator (5) This amount includes ABCP and Callables as well as SLNs

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